CrLgmData Class Reference

CR LGM Model Parameters. More...

#include <ored/model/crlgmdata.hpp>

Inheritance diagram for CrLgmData:

Collaboration diagram for CrLgmData:

Public Member Functions
	CrLgmData ()
	Default constructor. More...
	CrLgmData (std::string name, CalibrationType calibrationType, ReversionType revType, VolatilityType volType, bool calibrateH, ParamType hType, std::vector< Time > hTimes, std::vector< Real > hValues, bool calibrateA, ParamType aType, std::vector< Time > aTimes, std::vector< Real > aValues, Real shiftHorizon=0.0, Real scaling=1.0, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionTerms=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >())
	Detailed constructor. More...
Setters/Getters
std::string &	name ()
Public Member Functions inherited from LgmData
	LgmData ()
	Default constructor. More...
	LgmData (std::string qualifier, CalibrationType calibrationType, ReversionType revType, VolatilityType volType, bool calibrateH, ParamType hType, std::vector< Time > hTimes, std::vector< Real > hValues, bool calibrateA, ParamType aType, std::vector< Time > aTimes, std::vector< Real > aValues, Real shiftHorizon=0.0, Real scaling=1.0, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionTerms=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >(), const QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping inputFloatSpreadMapping=QuantExt::AnalyticLgmSwaptionEngine::proRata)
	Detailed constructor. More...
void	clear () override
	Clear list of calibration instruments. More...
void	reset () override
	Reset member variables to defaults. More...
ReversionType &	reversionType ()
VolatilityType &	volatilityType ()
bool &	calibrateH ()
ParamType &	hParamType ()
std::vector< Time > &	hTimes ()
std::vector< Real > &	hValues ()
bool &	calibrateA ()
ParamType &	aParamType ()
std::vector< Time > &	aTimes ()
std::vector< Real > &	aValues ()
Real &	shiftHorizon ()
Real &	scaling ()
QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping &	floatSpreadMapping ()
std::vector< std::string > &	optionExpiries () const
std::vector< std::string > &	optionTerms () const
std::vector< std::string > &	optionStrikes () const
ReversionParameter	reversionParameter () const
VolatilityParameter	volatilityParameter () const
bool	operator== (const LgmData &rhs)
bool	operator!= (const LgmData &rhs)
Public Member Functions inherited from IrModelData
	IrModelData (const std::string &name)
	minimal constructor More...
	IrModelData (const std::string &name, const std::string &qualifier, CalibrationType calibrationType)
	Detailed constructor. More...
virtual void	clear ()
	Clear list of calibration instruments. More...
virtual void	reset ()
	Reset member variables to defaults. More...
const std::string &	name ()
std::string &	qualifier ()
CalibrationType &	calibrationType ()
virtual std::string	ccy () const
Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()
virtual void	fromXML (XMLNode *node)=0
virtual XMLNode *	toXML (XMLDocument &doc) const =0
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
	Parse from XML string. More...
std::string	toXMLString () const
	Parse from XML string. More...

Serialisation
std::string	name_
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
void	clear () override
	Clear list of calibration instruments. More...
void	reset () override
	Reset member variables to defaults. More...

Additional Inherited Members
Public Types inherited from LgmData
enum class	ReversionType { HullWhite , Hagan }
	Supported mean reversion types. More...
enum class	VolatilityType { HullWhite , Hagan }
	Supported volatility types. More...
Protected Attributes inherited from IrModelData
std::string	name_
std::string	qualifier_
CalibrationType	calibrationType_

Detailed Description

CR LGM Model Parameters.

Definition at line 48 of file crlgmdata.hpp.

Constructor & Destructor Documentation

CrLgmData() [1/2]

CrLgmData

(

)

Default constructor.

Definition at line 51 of file crlgmdata.hpp.

{}

CrLgmData() [2/2]

CrLgmData	(	std::string	name,
		CalibrationType	calibrationType,
		ReversionType	revType,
		VolatilityType	volType,
		bool	calibrateH,
		ParamType	hType,
		std::vector< Time >	hTimes,
		std::vector< Real >	hValues,
		bool	calibrateA,
		ParamType	aType,
		std::vector< Time >	aTimes,
		std::vector< Real >	aValues,
		Real	shiftHorizon = 0.0,
		Real	scaling = 1.0,
		std::vector< std::string >	optionExpiries = std::vector<std::string>(),
		std::vector< std::string >	optionTerms = std::vector<std::string>(),
		std::vector< std::string >	optionStrikes = std::vector<std::string>()
	)

Detailed constructor.

Definition at line 54 of file crlgmdata.hpp.

        : LgmData(name, calibrationType, revType, volType, calibrateH, hType, hTimes, hValues, calibrateA, aType,
                  aTimes, aValues, shiftHorizon, scaling, optionExpiries, optionTerms, optionStrikes), name_(name) {}

Member Function Documentation

name()

std::string & name

(

)

Definition at line 65 of file crlgmdata.hpp.

{ return name_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from LgmData.

Definition at line 26 of file crlgmdata.cpp.

                                     {
    name_ = XMLUtils::getAttribute(node, "name");
    LOG("LGM with attribute (name) = " << name_);
 
    // Calibration Swaptions
 
    XMLNode* optionsNode = XMLUtils::getChildNode(node, "CalibrationCdsOptions");
 
    if (optionsNode) {
 
        optionExpiries() = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Expiries", false);
        optionTerms() = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Terms", false);
        QL_REQUIRE(optionExpiries().size() == optionTerms().size(),
                "vector size mismatch in cds option expiries/terms for name " << name_);
        optionStrikes() = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Strikes", false);
        if (optionStrikes().size() > 0) {
            QL_REQUIRE(optionStrikes().size() == optionExpiries().size(),
                    "vector size mismatch in cds option expiries/strikes for name " << name_);
        } else // Default: ATM
            optionStrikes().resize(optionExpiries().size(), "ATM");
 
        for (Size i = 0; i < optionExpiries().size(); i++) {
            LOG("LGM calibration cds option " << optionExpiries()[i] << " x " << optionTerms()[i] << " "
                                            << optionStrikes()[i]);
        }
    }
 
    LgmData::fromXML(node);
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from LgmData.

Definition at line 56 of file crlgmdata.cpp.

                                                {
    XMLNode* node = LgmData::toXML(doc);
    XMLUtils::addAttribute(doc, node, "name", name_);
 
    // swaption calibration
    XMLNode* calibrationSwaptionsNode = XMLUtils::addChild(doc, node, "CalibrationCdsOptions");
    XMLUtils::addGenericChildAsList(doc, calibrationSwaptionsNode, "Expiries", optionExpiries());
    XMLUtils::addGenericChildAsList(doc, calibrationSwaptionsNode, "Terms", optionTerms());
    XMLUtils::addGenericChildAsList(doc, calibrationSwaptionsNode, "Strikes", optionStrikes());
 
    return node;
}

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clear()

void clear ( )

overridevirtual

Clear list of calibration instruments.

Reimplemented from IrModelData.

Definition at line 73 of file crlgmdata.hpp.

{ LgmData::clear(); }

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reset()

void reset ( )

overridevirtual

Reset member variables to defaults.

Reimplemented from IrModelData.

Definition at line 74 of file crlgmdata.hpp.

                          {
        LgmData::reset();
        name_ = "";
    }

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Member Data Documentation

name_

std::string name_

private

Definition at line 80 of file crlgmdata.hpp.